Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU.
Abhijit GhoshChittaranjan MishraPublished in: Appl. Math. Comput. (2021)
Keyphrases
- highly efficient
- parallel algorithm
- parallel computation
- cluster of workstations
- parallel programming
- graphics processors
- option pricing
- low cost
- shared memory
- compute unified device architecture
- multithreading
- real time
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- parallel processing
- double exponential
- black scholes model
- parallel computers
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- pc cluster
- combinatorial search problems
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- interconnection networks
- message passing interface
- constraint programming
- computer vision